MD5SUM is a checksum - it verifies that the file you have on your harddrive is the same as the one on the Internet. The ftp site that you got the Mandrake ISO files from should also contain a very small text file called MD5SUMS.TXT (or something similar) that contains the checksums. What you'd need to do is compare the checksums generated on your machine with those in the text file. I am guessing you run Windows, in which case head on over to http://www.md5summer.org
and get a Windows checksum app.
As for the burning of the ISOs - a general rule: burn slower, get better results. And make sure you're burning the ISO files as images, and not just dumping the file onto the disc. Since you can boot from the first CD, I guess you know how to do this already.
Anyhow, you don't actually need
the other CDs, they just help (lots). If you still have problems, then just select "cancel" when prompted for the 2nd disc, and continue with the install. Later on you can install packages from the other CDs easily enough.